In Java how can I validate a thrown exception with JUnit?

In JUnit 4 it can be easily done using ExpectedException rule.

Here is example from javadocs:

// These tests all pass.
public static class HasExpectedException {
    @Rule
    public ExpectedException thrown = ExpectedException.none();

    @Test
    public void throwsNothing() {
        // no exception expected, none thrown: passes.
    }

    @Test
    public void throwsNullPointerException() {
        thrown.expect(NullPointerException.class);
        throw new NullPointerException();
    }

    @Test
    public void throwsNullPointerExceptionWithMessage() {
        thrown.expect(NullPointerException.class);
        thrown.expectMessage("happened?");
        thrown.expectMessage(startsWith("What"));
        throw new NullPointerException("What happened?");
    }
}

As provided in your answer, it's a good approach. In addition to this:

You could wrap the function expectException into a new Annotation, called ExpectedException.
An annotated method would look like this:

@Test
@ExpectedException(class=WrapperException.class, message="Exception Message", causeException)
public void testAnExceptionWrappingFunction() {
  //whatever you test
}

This way would be more readable, but it's exactly the same approach.

Another reason is: I like Annotations :)

Looking at the proposed answers, you can really feel the pain of not having closures in Java. IMHO, the most readable solution is ye good old try catch.

@Test
public void test() {
    ...
    ...
    try {
        ...
        fail("No exception caught :(");
    }
    catch (RuntimeException ex) {
        assertEquals(Whatever.class, ex.getCause().getClass());
        assertEquals("Message", ex.getMessage());
    }
}